/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.interestrate;
import static org.testng.AssertJUnit.assertEquals;
import org.testng.annotations.Test;
import org.threeten.bp.ZonedDateTime;
import com.opengamma.analytics.financial.model.interestrate.curve.YieldCurve;
import com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteTwoFactorDataBundle;
import com.opengamma.analytics.financial.model.volatility.curve.VolatilityCurve;
import com.opengamma.analytics.math.curve.ConstantDoublesCurve;
import com.opengamma.util.time.DateUtils;
/**
*
*/
public class HullWhiteTwoFactorInterestRateModelTest {
private static final double RATE = 0.04;
private static final double SIGMA1 = 0.1;
private static final double SIGMA2 = 0.15;
private static final double T1 = 1.4;
private static final double T2 = 16;
private static final ZonedDateTime TODAY = DateUtils.getUTCDate(2010, 8, 1);
private static final ZonedDateTime START = DateUtils.getDateOffsetWithYearFraction(TODAY, T1);
private static final ZonedDateTime MATURITY = DateUtils.getDateOffsetWithYearFraction(START, T2);
private static final YieldCurve R = YieldCurve.from(ConstantDoublesCurve.from(RATE));
private static final VolatilityCurve VOL1 = new VolatilityCurve(ConstantDoublesCurve.from(SIGMA1));
private static final VolatilityCurve VOL2 = new VolatilityCurve(ConstantDoublesCurve.from(SIGMA2));
private static final double SPEED1 = 0.2;
private static final double SPEED2 = 0.07;
private static final double U = 0.13;
private static final double F = 0.06;
private static final double RHO = 0.43;
private static final HullWhiteTwoFactorInterestRateModel MODEL = new HullWhiteTwoFactorInterestRateModel();
private static final double EPS = 1e-9;
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullDate() {
MODEL.getDiscountBondFunction(null, MATURITY);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullMaturity() {
MODEL.getDiscountBondFunction(START, null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullData() {
MODEL.getDiscountBondFunction(START, MATURITY).evaluate((HullWhiteTwoFactorDataBundle) null);
}
@Test
public void test() {
HullWhiteTwoFactorDataBundle data = new HullWhiteTwoFactorDataBundle(R, new VolatilityCurve(ConstantDoublesCurve.from(0)), VOL2, TODAY, SPEED1, SPEED2, U, YieldCurve.from(ConstantDoublesCurve
.from(F)), RHO);
assertEquals(MODEL.getDiscountBondFunction(START, MATURITY).evaluate(data), 0, EPS);
data = new HullWhiteTwoFactorDataBundle(R, VOL1, VOL2, TODAY, SPEED1, SPEED2, U, YieldCurve.from(ConstantDoublesCurve.from(F)), RHO);
assertEquals(MODEL.getDiscountBondFunction(START, START).evaluate(data), 1, EPS);
}
}